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1
Forecasting
volatility
and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas
;
Kaizoji, Taisei
-
2006
We investigate the predictability of both
volatility
and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical
volatility
. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
Saved in:
2
Forecasting
volatility
and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas
;
Kaizoji, Taisei
-
2004
We investigate the predictability of both
volatility
and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical
volatility
. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136
Saved in:
3
Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio
-
2004
States of the European Union, to test if the same short-run increase in cyclical
volatility
arising from financial … mature market economies, reduces cyclical
volatility
both in the short and in the long run. Weak indications are found that …
Persistent link: https://www.econbiz.de/10010295650
Saved in:
4
A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus
;
Hess, Dieter E.
-
2001
differences of opinion is left, and hence
volatility
is decreased. …
Persistent link: https://www.econbiz.de/10010297797
Saved in:
5
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
-
2009
direction of company-specific news. Information-implied reactions in returns,
volatility
as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in
volatility
and trading volume. However …
Persistent link: https://www.econbiz.de/10010303687
Saved in:
6
Price pressures
Hendershott, Terrence
;
Menkveld, Albert J.
-
2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory
volatility
in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010303739
Saved in:
7
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Hautsch, Nikolaus
;
Hess, Dieter
-
2002
differences of opinion is left, and hence
volatility
is decreased. …
Persistent link: https://www.econbiz.de/10010324062
Saved in:
8
Asymmetry in
volatility
: A comparison of developed and transition stock markets
Wdowiński, Piotr
;
Malecka, Marta
-
2010
describe the most typical features of capital markets like
volatility
clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns
volatility
. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556
Saved in:
9
Modelling high-frequency
volatility
and liquidity using multiplicative error models
Hautsch, Nikolaus
;
Jeleskovic, Vahidin
-
2008
In this paper, we study the dynamic interdependencies between high-frequency
volatility
, liquidity demand as well as …. Liquidity is causal for future
volatility
but not vice versa. Furthermore, trade sizes are negatively driven by past trading …
Persistent link: https://www.econbiz.de/10010263738
Saved in:
10
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
-
2009
direction of company-specific news. Information-implied reactions in returns,
volatility
as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in
volatility
and trading volume. However …
Persistent link: https://www.econbiz.de/10010270815
Saved in:
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